ABC variable selection

Prior to the ISBA 2018 meeting, Yi Liu, Veronika Ročková, and Yuexi Wang arXived a paper on relying ABC for finding relevant variables, which is a very original approach in that ABC is not as much the object as it is a tool. And which Veronika considered during her Susie Bayarri lecture at ISBA 2018. In other words, it is not about selecting summary variables for running ABC but quite the opposite, selecting variables in a non-linear model through an ABC step. I was going to separate the two selections into algorithmic and statistical selections, but it is more like projections in the observation and covariate spaces. With ABC still providing an appealing approach to approximate the marginal likelihood. Now, one may wonder at the relevance of ABC for variable selection, aka model choice, given our warning call of a few years ago. But the current paper does not require low-dimension summary statistics, hence avoids the difficulty with the “other” Bayes factor.

In the paper, the authors consider a spike-and… forest prior!, where the Bayesian CART selection of active covariates proceeds through a regression tree, selected covariates appearing in the tree and others not appearing. With a sparsity prior on the tree partitions and this new ABC approach to select the subset of active covariates. A specific feature is in splitting the data, one part to learn about the regression function, simulating from this function and comparing with the remainder of the data. The paper further establishes that ABC Bayesian Forests are consistent for variable selection.

The difference with our ABC-RF model choice paper is that we select summary statistics [for classification] rather than covariates. For instance, in the current paper, simulation of pseudo-data will depend on the selected subset of covariates, meaning simulating a model index, and then generating the pseudo-data, acceptance being a function of the L² distance between data and pseudo-data. And then relying on all ABC simulations to find which variables are in more often than not to derive the median probability model of Barbieri and Berger (2004). Which does not work very well if implemented naïvely. Because of the immense size of the model space, it is quite hard to find pseudo-data close to actual data, resulting in either very high tolerance or very low acceptance. The authors get over this difficulty by a neat device that reminds me of fractional or intrinsic (pseudo-)Bayes factors in that the dataset is split into two parts, one that learns about the posterior given the model index and another one that simulates from this posterior to compare with the left-over data. Bringing simulations closer to the data. I do not remember seeing this trick before in ABC settings, but it is very neat, assuming the small data posterior can be simulated (which may be a fundamental reason for the trick to remain unused!). Note that the split varies at each iteration, which means there is no impact of ordering the observations.